✦ LIBER ✦

On multistep prediction error methods for time series models

✍ Scribed by Petre Stoica; Arye Nehorai

Publisher: John Wiley and Sons
Year: 1989
Tongue: English
Weight: 574 KB
Volume: 8
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980080402

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✦ Synopsis

Multistep prediction error methods for linear time series models are considered from both a theoretical and a practical standpoint. The emphasis is on autoregressive moving-average (ARMA) models for which a multistep prediction error estimation method (PEM) is developed. The results of a Monte Carlo simulation study aimed at establishing the possible merits of the multistep PEM are presented.

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